Indices Calculation Methodology
Tadawul All Share Index (TASI), Parallel Market Index (NOMU) and the sectors indices are calculated by multiplying the index value of the previous day by the change in the free float market capitalization of all index constituents.
The below formula explains how TASI, NOMU and sectors indices are calculated:
Index = (Today’s total free float market capitalization / previous day total free float market capitalization ) x index value of the previous day.
The total free float market capitalization= free float market capitalization of company “A” + free float market capitalization of company ‘B” + …… and so for all companies included in the index.
Free float market capitalization for company “A” = ( Last normal trade price for company “A” X the number of free floated shares of company “A” last normal trade price is the final trade price for any trade which exceeds SAR 15,000 in value.
An Example of how to calculate the Utilities sector index:
The companies included in the index: National Gas and Industrialization Co. and Saudi Electricity Co.
|Company||Free Float Share||Last Normal Trade Price||Free Floated Market Capitalization|
|Today||Previous Day||Today||Previous Day|
|National Gas and Industrialization Co.||50,541,564||27.00||26.20||1,364,622,228.00||1,324,188,976.80|
|Saudi Electricity Co.||715,804,529||13.20||13.00||9,448,619,782.80||9,305,458,877.00|
Assuming that the sector index for the previous day closed at 5,000 points
Index Today = (10,813,242,010.80 / 10,629,647,853.80) x 5,000 = 5,086.35 points
The same methodology mentioned above is used to calculate TASI and for all companies included in index. Unlike individual equities, indices are not subject to a specific fluctuation limit.
Free Float Shares
Free float shares are the only shares available for trading in the Saudi Stock Exchange (Tadawul). Hence, the shares owned by the following parties are excluded from the Saudi Stock Exchange (Tadawul) index calculations:
- The Government and its institutions;
- Foreign partners, if they are not permitted to sell without the prior approval of a supervisory authority;
- A founding partner during the restricted period; or
- Owners of 10% or more of a company’s shares.
Tadawul maintains indices at the end of each quarter to update the following:
- Changes on the numbers of free float shares.
- Inclusion of new listed companies to The exchange indices that have completed 20 consecutive days of trading in the exchange.
- Exclusion of suspended companies.
Capped Indices Calculation Methodology
Tadawul’s capped indices follow the same calculation methodology used for market and sector indices with the addition of a capping threshold (i.e., 20%) to minimize the dominance of large companies in the index.
Index Value for capped indices is calculated based on the below formula:
Index = (Today’s total free float Capped market capitalization / previous day total free float Capped market capitalization) x index value of the previous day.
Capped FF Market Capitalization = sum of ((free float market capitalization of company “A” x capping factor) + (free float market capitalization of company ”B” x capping factor) + …… and so for all companies included in the index)
Capping factor is used to reduce the FF market cap of securities in an index so that the weights of all index constituents remain under a set capping threshold. While with the application of capping factor, the weight of dominant constituent(s) is contained, the excess weight is distributed over the remaining index constituents so that the total index weight remains at 100%.
Capped Indices Maintenance
Capped Indices rebalancing and capping factors’ revisions will be carried out at the end of each quarter, aligned with quarterly index maintenance cycle at Tadawul.